Mathematical Programming Computation

, Volume 11, Issue 1, pp 95–118 | Cite as

Computing feasible points for binary MINLPs with MPECs

  • Lars ScheweEmail author
  • Martin Schmidt
Full Length Paper


Nonconvex mixed-binary nonlinear optimization problems frequently appear in practice and are typically extremely hard to solve. In this paper we discuss a class of primal heuristics that are based on a reformulation of the problem as a mathematical program with equilibrium constraints. We then use different regularization schemes for this class of problems and use an iterative solution procedure for solving series of regularized problems. In the case of success, these procedures result in a feasible solution of the original mixed-binary nonlinear problem. Since we rely on local nonlinear programming solvers the resulting method is fast and we further improve its reliability by additional algorithmic techniques. We show the strength of our method by an extensive computational study on 662 MINLPLib2instances, where our methods are able to produce feasible solutions for \({60}{\%}\) of all instances in at most \({10}\,{\hbox {s}}\).


Mixed-integer nonlinear optimization MINLP MPEC Complementarity constraints Primal heuristic 

Mathematics Subject Classification

90-08 90C11 90C33 90C59 



This research has been performed as part of the Energie Campus Nürnberg and supported by funding through the “Aufbruch Bayern (Bavaria on the move)” initiative of the state of Bavaria. Both authors acknowledge funding through the DFG Transregio TRR 154, subprojects A05, B07, and B08. Last but not least, we want to express our sincere gratefulness to Stefan Vigerske from GAMS. Without his patient help, the implementations underlying this paper would not have been possible. Thanks a lot, Stefan.


  1. 1.
    Achterberg, T.: SCIP: solving constraint integer programs. Math. Program. Comput. 1(1), 1–41 (2009). MathSciNetzbMATHGoogle Scholar
  2. 2.
    Baumrucker, B.T., Renfro, J.G., Biegler, L.T.: MPEC problem formulations and solution strategies with chemical engineering applications. Comput. Chem. Eng. 32(12), 2903–2913 (2008). Google Scholar
  3. 3.
    Benoist, T., Estellon, B., Gardi, F., Megel, R., Nouioua, K.: Localsolver 1.x: a black-box local-search solver for 0–1 programming. 4OR 9(3), 299 (2011). MathSciNetzbMATHGoogle Scholar
  4. 4.
    Berthold, T.: Heuristic algorithms in global MINLP solvers. Ph.D. thesis, Technische Universität Berlin (2014)Google Scholar
  5. 5.
    Berthold, T., Gleixner, A.M.: Undercover: a primal MINLP heuristic exploring a largest sub-MIP. Math. Program. 144(1), 315–346 (2014). MathSciNetzbMATHGoogle Scholar
  6. 6.
    Berthold, T., Heinz, S., Pfetsch, M.E., Vigerske, S.: Large neighborhood search beyond MIP. In: Proceedings of the 9th Metaheuristics International Conference (MIC 2011), pp. 51–60 (2011)Google Scholar
  7. 7.
    Berthold, T., Heinz, S., Vigerske, S.: Extending a CIP framework to solve MIQCPs. In: Lee, J., Leyffer, S. (eds.) Mixed Integer Nonlinear Programming, pp. 427–444. Springer, New York (2012). Google Scholar
  8. 8.
    Bonami, P., Cornuéjols, G., Lodi, A., Margot, F.: A feasibility pump for mixed integer nonlinear programs. Math. Program. 119(2), 331–352 (2009). MathSciNetzbMATHGoogle Scholar
  9. 9.
    Bonami, P., Gonçalves, J.P.M.: Heuristics for convex mixed integer nonlinear programs. Comput. Optim. Appl. 51(2), 729–747 (2012). MathSciNetzbMATHGoogle Scholar
  10. 10.
    D’Ambrosio, C., Frangioni, A., Liberti, L., Lodi, A.: Experiments with a feasibility pump approach for nonconvex MINLPs. In: Festa, P. (ed.) Experimental Algorithms. Lecture Notes in Computer Science, vol. 6049, pp. 350–360. Springer, Berlin (2010). Google Scholar
  11. 11.
    D’Ambrosio, C., Frangioni, A., Liberti, L., Lodi, A.: A storm of feasibility pumps for nonconvex MINLP. Math. Program. 136(2), 375–402 (2012). MathSciNetzbMATHGoogle Scholar
  12. 12.
    Dolan, E.D., Moré, J.J.: Benchmarking optimization software with performance profiles. Math. Program. 91, 201–213 (2002). MathSciNetzbMATHGoogle Scholar
  13. 13.
    Drud, A.S.: CONOPT—a large-scale GRG code. INFORMS J. Comput. 6(2), 207–216 (1994). zbMATHGoogle Scholar
  14. 14.
    Drud, A.S.: CONOPT: a system for large scale nonlinear optimization, tutorial for CONOPT subroutine library. Technical Report, ARKI Consulting and Development A/S, Bagsvaerd, Denmark (1995)Google Scholar
  15. 15.
    Drud, A.S.: CONOPT: a system for large scale nonlinear optimization, reference manual for CONOPT subroutine library. Technical Report, ARKI Consulting and Development A/S, Bagsvaerd, Denmark (1996)Google Scholar
  16. 16.
    Fischer, A.: A special Newton-type optimization method. Optimization 24(3–4), 269–284 (1992). MathSciNetzbMATHGoogle Scholar
  17. 17.
    Fischetti, M., Lodi, A.: Local branching. Math. Program. 98(1–3), 23–47 (2003). MathSciNetzbMATHGoogle Scholar
  18. 18.
    GAMS Development Corporation: General Algebraic Modeling System (GAMS) Release 24.5.4. Washington, DC, USA (2015). Accessed 10 Aug 2018
  19. 19.
    Gill, P.E., Murray, W., Saunders, M.A.: SNOPT: an SQP algorithm for large-scale constrained optimization. SIAM Rev. 47(1), 99–131 (2005). MathSciNetzbMATHGoogle Scholar
  20. 20.
    Gleixner, A., Eifler, L., Gally, T., Gamrath, G., Gemander, P., Gottwald, R.L., Hendel, G., Hojny, C., Koch, T., Miltenberger, M., Müller, B., Pfetsch, M.E., Puchert, C., Rehfeldt, D., Schlösser, F., Serrano, F., Shinano, Y., Viernickel, J.M., Vigerske, S., Weninger, D., Witt, J.T., Witzig, J.: The SCIP Optimization Suite 5.0. Technical Report 17-61, ZIB, Takustr.7, 14195 Berlin (2017)Google Scholar
  21. 21.
    Hoheisel, T., Kanzow, C., Schwartz, A.: Theoretical and numerical comparison of relaxation methods for mathematical programs with complementarity constraints. Math. Program. 137(1), 257–288 (2013). MathSciNetzbMATHGoogle Scholar
  22. 22.
    Hu, X.M., Ralph, D.: Convergence of a penalty method for mathematical programming with complementarity constraints. J. Optim. Theory Appl. 123(2), 365–390 (2004). MathSciNetGoogle Scholar
  23. 23.
    Koch, T., Achterberg, T., Andersen, E., Bastert, O., Berthold, T., Bixby, R.E., Danna, E., Gamrath, G., Gleixner, A.M., Heinz, S., Lodi, A., Mittelmann, H., Ralphs, T., Salvagnin, D., Steffy, D.E., Wolter, K.: MIPLIB 2010. Math. Program. Comput. 3(2), 103–163 (2011). MathSciNetGoogle Scholar
  24. 24.
    Kraemer, K., Kossack, S., Marquardt, W.: An efficient solution method for the MINLP optimization of chemical processes. Comput. Aided Chem. Eng. 24, 105 (2007). Google Scholar
  25. 25.
    Kraemer, K., Marquardt, W.: Continuous reformulation of MINLP problems. In: Diehl, M., Glineur, F., Jarlebring, E., Michiels, W. (eds.) Recent Advances in Optimization and Its Applications in Engineering: The 14th Belgian-French-German Conference on Optimization, pp. 83–92. Springer, Berlin (2010).
  26. 26.
    Liberti, L., Mladenović, N., Nannicini, G.: A recipe for finding good solutions to MINLPs. Math. Program. Comput. 3(4), 349–390 (2011). MathSciNetzbMATHGoogle Scholar
  27. 27.
    Luo, Z.Q., Pang, J.S., Ralph, D.: Mathematical Programs with Equilibrium Constraints. Cambridge University Press, Cambridge (1996)zbMATHGoogle Scholar
  28. 28.
    Maher, S.J., Fischer, T., Gally, T., Gamrath, G., Gleixner, A., Gottwald, R.L., Hendel, G., Koch, T., Lübbecke, M.E., Miltenberger, M., Müller, B., Pfetsch, M.E., Puchert, C., Rehfeldt, D., Schenker, S., Schwarz, R., Serrano, F., Shinano, Y., Weninger, D., Witt, J.T., Witzig, J.: The SCIP optimization suite 4.0. Technical Report 17-12, ZIB, Takustr.7, 14195 Berlin (2017)Google Scholar
  29. 29.
    Nannicini, G., Belotti, P.: Rounding-based heuristics for nonconvex MINLPs. Math. Program. Comput. 4(1), 1–31 (2012). MathSciNetzbMATHGoogle Scholar
  30. 30.
    Nannicini, G., Belotti, P., Liberti, L.: A local branching heuristic for MINLPs (2008). arXiv preprint arXiv:0812.2188
  31. 31.
    Rose, D., Schmidt, M., Steinbach, M.C., Willert, B.M.: Computational optimization of gas compressor stations: MINLP models versus continuous reformulations. Math. Methods Oper. Res. 83(3), 409–444 (2016). MathSciNetzbMATHGoogle Scholar
  32. 32.
    Sahinidis, N.V.: BARON 14.3.1: Global Optimization of Mixed-Integer Nonlinear Programs, User’s Manual (2014)Google Scholar
  33. 33.
    Schmidt, M., Steinbach, M.C., Willert, B.M.: A primal heuristic for nonsmooth mixed integer nonlinear optimization. In: Jünger, M., Reinelt, G. (eds.) Facets of Combinatorial Optimization, pp. 295–320. Springer, Berlin (2013). Google Scholar
  34. 34.
    Schmidt, M., Steinbach, M.C., Willert, B.M.: An MPEC based heuristic. In: Koch, T., Hiller, B., Pfetsch, M.E., Schewe, L. (eds.) Evaluating Gas Network Capacities, SIAM-MOS series on Optimization, Chapter 9, pp. 163–180. SIAM (2015).
  35. 35.
    Scholtes, S.: Convergence properties of a regularization scheme for mathematical programs with complementarity constraints. SIAM J. Optim. 11(4), 918–936 (2001). MathSciNetzbMATHGoogle Scholar
  36. 36.
    Stein, O., Oldenburg, J., Marquardt, W.: Continuous reformulations of discrete-continuous optimization problems. Comput. Chem. Eng. 28(10), 1951–1966 (2004). (Special Issue for Professor Arthur W. Westerberg)Google Scholar
  37. 37.
    Sun, D., Qi, L.: On NCP-functions. Comput. Optim. Appl. 13(1), 201–220 (1999). MathSciNetzbMATHGoogle Scholar
  38. 38.
    Tawarmalani, M., Sahinidis, N.V.: Convexification and Global Optimization in Continuous and Mixed-Integer Nonlinear Programming: Theory, Algorithms, Software, and Applications. Kluwer Academic Publishers, Dordrecht (2002)zbMATHGoogle Scholar
  39. 39.
    Tawarmalani, M., Sahinidis, N.V.: Global optimization of mixed-integer nonlinear programs: a theoretical and computational study. Math. Program. 99(3), 563–591 (2004). MathSciNetzbMATHGoogle Scholar
  40. 40.
    Tawarmalani, M., Sahinidis, N.V.: A polyhedral branch-and-cut approach to global optimization. Math. Program. 103(2), 225–249 (2005). MathSciNetzbMATHGoogle Scholar
  41. 41.
    Ugray, Z., Lasdon, L., Plummer, J., Glover, F., Kelly, J., Martí, R.: Scatter search and local NLP solvers: a multistart framework for global optimization. INFORMS J. Comput. 19(3), 328–340 (2007). MathSciNetzbMATHGoogle Scholar
  42. 42.
    Wächter, A., Biegler, L.T.: On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming. Math. Program. 106(1), 25–57 (2006). MathSciNetzbMATHGoogle Scholar
  43. 43.
    Wächter, A., Biegler, L.T.: Line search filter methods for nonlinear programming: motivation and global convergence. SIAM J. Optim. 16(1), 1–31 (2005). MathSciNetzbMATHGoogle Scholar
  44. 44.
    Wu, B., Ghanem, B.: \(l_p\)-box ADMM: a versatile framework for integer programming. Technical Report (2016). Accessed 10 Aug 2018
  45. 45.
    Ye, J.J., Zhu, D.L.: Optimality conditions for bilevel programming problems. Optimization 33(1), 9–27 (1995). MathSciNetzbMATHGoogle Scholar

Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature and The Mathematical Programming Society 2018

Authors and Affiliations

  1. 1.Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU), Discrete OptimizationErlangenGermany
  2. 2.Energie Campus NürnbergNurembergGermany

Personalised recommendations